No genlasso

[dajmcdon]

Checklist

Please:

• Make sure this PR is against "dev", not "main" (unless this is a release
  PR).
• Request a review from one of the current main reviewers:
  brookslogan, nmdefries.
• Makes sure to bump the version number in DESCRIPTION. Always increment
  the patch version number (the third number), unless you are making a
  release PR from dev to main, in which case increment the minor version
  number (the second number).
• Describe changes made in NEWS.md, making sure breaking changes
  (backwards-incompatible changes to the documented interface) are noted.
  Collect the changes under the next release number (e.g. if you are on
  1.7.2, then write your changes under the 1.8 heading).
• See DEVELOPMENT.md for more information on the development
  process.

Change explanations for reviewer

This completes the process of removing the genlasso dependency (because it required a C compiler).

1. We replace the functionality with glmgen/trendfilter.
2. But list this in Suggests and test for it if that method is requested.
3. Also refactor growth_rate() to be a bit less clunky. It could (and often did) return vectors of unexpected lengths (due to NAs or duplicated x-values). This does not play nice with mutate() which was the main example use case.
4. Add tests for the (many) edge cases of argument interaction.

Note that this does entail breaking changes.

Magic GitHub syntax to mark associated Issue(s) as resolved when this is merged into the default branch

• Resolves Use glmgen in growth rate function when ready #57
• Closes Move genlasso to Suggests:/Enhances: #585

[dshemetov]

/preview-docs

[github-actions]

🚀 Deployed on https://679400526c295d36604a015e--epiprocess.netlify.app

[brookslogan]

@dshemetov you got ahead of me, I was just wanting to test this out!! Very useful already.

@dajmcdon how compatible are genlasso and trendfilter supposed to be? There appear to be some changes from dev:

to this PR:

and trendfilter seems like it might be a bit under-regularized in this case.

[dajmcdon]

The implementation is completely different. genlasso is a path algorithm while trendfilter uses ADMM with warm-starts (From Ramdas+Tibshirani 2016). So the lambda's visited are likely quite different. The default here is to use the CV minimizer (in both cases). So they shouldn't be too far off, modulo the possible lambdas that could be used. We could switch to the 1se rule if we want more regularization.

[brookslogan]

Dumping some notes here. I plan to make at least some minor editing commits and maybe take another look / do actual testing when my mind's a bit more fresh.

[dshemetov]

• Installing trendfilter wasn't so bad after installing g++ on Ubuntu, so hopefully this alleviates installation issues, thanks!
• Did some sanity checking of the code, as far as I could follow it (mostly the logic here, don't quite understand the external package parameters enough to comment on those)
• Did some testing of the functions to make sure we're getting sensible values. Assuming those are fine, this looks good to me.

[brookslogan]

When I run tests locally, I get a lot of warnings like:

subscript out of bounds (index 29 >= vector size 29)

and at some point something like "partial match of tol = to tolerance".

[Ah, now I can see both again. Here's an example of one:

── Warning (test-growth_rate.R:25:3): new setup args and warnings are as expected ───
subscript out of bounds (index 29 >= vector size 29)
Backtrace:
     ▆
  1. ├─testthat::expect_length(...) at test-growth_rate.R:25:3
  2. │ └─testthat::quasi_label(enquo(object), arg = "object") at testthat/R/expect-length.R:18:3
  3. │   └─rlang::eval_bare(expr, quo_get_env(quo)) at testthat/R/quasi-label.R:45:3
  4. └─epiprocess::growth_rate(y = c(1:20, NA, 22:30), method = "trend_filter")
  5.   ├─stats::predict(obj, newx = x0, which_lambda = which_lambda) at epiprocess/R/growth_rate.R:255:9
  6.   └─trendfilter:::predict.cv_trendfilter(obj, newx = x0, which_lambda = which_lambda)
  7.     ├─stats::predict(object$full_fit, newx, which_lambda, ...)
  8.     └─trendfilter:::predict.trendfilter(...)
  9.       └─base::apply(...)
 10.         └─trendfilter (local) FUN(newX[, i], ...)
 11.           └─dspline::dspline_interp(th, object$k, object$x, newx)
 12.             └─dspline:::rcpp_dspline_interp(v, k, xd, x, implicit)

and an example of the other:

── Warning (test-growth_rate.R:187:3): trendfilter growth_rate implementation ───────
partial match of 'tol' to 'tolerance'
Backtrace:
    ▆
 1. ├─testthat::expect_length(...) at test-growth_rate.R:187:3
 2. │ └─testthat::quasi_label(enquo(object), arg = "object") at testthat/R/expect-length.R:18:3
 3. │   └─rlang::eval_bare(expr, quo_get_env(quo)) at testthat/R/quasi-label.R:45:3
 4. └─epiprocess::growth_rate(y = z, method = "trend_filter", params = growth_rate_params(nfolds = 3))
 5.   └─trendfilter::cv_trendfilter(...) at epiprocess/R/growth_rate.R:246:9
 6.     └─trendfilter::trendfilter(...)
 7.       └─trendfilter:::admm_lambda_seq(...)

]

At least some from these parts of my .Rprofile

options(
  warnPartialMatchArgs = TRUE,
  warnPartialMatchAttr = TRUE,
  warnPartialMatchDollar = TRUE,
  useFancyQuotes = FALSE
)

## seems to work on (currently installed as of time of writing) 4.0.5 though doesn't seem to be documented in ?Logic like in some later version
## thought this was only about [[ not [ though
Sys.setenv("_R_CHECK_LENGTH_1_LOGIC2_"=TRUE)

• Are these epiprocess or upstream problems? Do they need addressed? The subscript out of bounds thing seems a bit fishy, the partial match more innocuous.

[brookslogan]

@dajmcdon I finished the rewords I was hoping to do + some of the minor tasks. There's still some lingering stuff that I'm hoping you'll be able to decide what to do with & handle.

(I've linted those overly long lines in another PR.)

[dajmcdon]

OK. By my count, two outstanding issues (after the above commits)

• The subscript out of bounds (index 29 >= vector size 29) warning. I can't reproduce this locally, but it happens in CI.
• The question of "are the new results" too wiggly? I think this is up for debate. @lcbrooks what do you think about using lambda.1se as the default instead of the minimizer (it was the minimizer previously). I'm not sure what could account for the difference, though Ryan may know.

[dajmcdon]

@brookslogan following up on the point about underregularization. I did a bit of investigating. The previous implementation used the cv minimizer, but capped the number of steps in the solution path at 1000. Because of this, lambda_min == min(lambda) and min(lambda) from genlasso is much larger than min(lambda) from trendfilter. The 1000 steps doesn't "go down the path" as far as in the other implementation, visiting only smoother solutions. So it effectively forces more smoothness due to other algorithmic choices.

However, the trendfilter implementation also produces a questionable level of smoothness. CV there also has the property that lambda_min == min(lambda). So ideally, we would consider even smaller levels of regularization!

I'm not sure how much more to beat on this. We could do some other default choice, but I think this is a larger problem (one I've encountered before) that we shouldn't necessarily handle here. We can put it on the tooling agenda for next time we meet with Ryan.

x <- cases_deaths_subset |>
  filter(geo_value == "pa" & time_value >= "2020-06-01") |>
  select(tv = time_value, cases = cases_7d_av) |>
  arrange(tv) |>
  mutate(tv = as.numeric(tv))

# using internal defaults from current epiprocess implementation
gen <- genlasso::trendfilter(x$cases, ord = 3L, maxsteps = 1000L)
cvgen <- genlasso::cv.trendfilter(gen, k = 3)

tf <- trendfilter::cv_trendfilter(x$cases, x$tv, nfolds = 3L) # chosen to match

# both minimizers are at the minimum lambda
plot(cvgen)
plot(tf)

# convert to growth rates using lambda_min
genf <- gen$beta[,cvgen$i.min]
tff <- predict(tf, which_lambda = "lambda_min")
dgenf <- diff(genf) / diff(x$tv)
dgenf <- c(dgenf, dgenf[length(dgenf)])
dtff <- diff(tff) / diff(x$tv)
dtff <- c(dtff, dtff[length(dtff)])

plot(dgenf / genf, ty = "l", col = 1)
lines(dtff / tff, col = 2)

[brookslogan]

Nice catches! I do think the current plot looks pretty weird; part of that might be under-regularization; part might be the degree of the polynomial.

• I could believe there is a rapid change around Dec & Jan that's oversmoothed in genlasso, but all these other little bumps seem suspect.
• The small bumps may look particularly unnatural due to the degree of the spline, but we may sort of be constrained there by attempting apples-to-apples comparison with smoothing splines.

I think in the short term, given that upstream changes may need to be made, we should decide among:

A. tweaking this text to be more accurate:

In this particular example, the trend filtering estimates of growth rate appear to be much more stable than those from the smoothing spline, and also much more stable than the estimates from local relative changes and linear regressions.

B. maybe trying putting 1se as default, seeing if it makes things look better, and remembering to revisit if something changes upstream / the lambda range changes (which might not only change the "min" selection but also "1se"). Conceptually I like 1se's motivation as a default, but I'm afraid there will be even more weird situations than with min, & we're already hitting one with min. Rather than worry about them all now, we could just go with whatever makes this example look better & try to iterate if we/users encounter issues later.

C. both.

[dajmcdon]

I'm fine with A, but against B (and C).

Based on the above investigation, B won't have an effect here (it gives the same result as lambda min). CV is not a great estimator for this data, at least implemented as leave 1 fold out and folds are set as every vth observation. The defaults should remain.

We should be thinking of the previously "nice smooth result" as nothing more than an artefact that conveniently looked how we wanted. Along the lines of running gradient descent for only a few iterations and saying, "yeah, I stopped way early, but I like the answer!".